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Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

by 1,* and 2
1
Suleman Dawood School of Business, Lahore University of Management Sciences Sector U, DHA, Lahore Cantt. 54792, Pakistan
2
School of business, Wellington institute of technology, Wellington 5012, New Zealand
*
Author to whom correspondence should be addressed.
Risks 2017, 5(2), 22; https://doi.org/10.3390/risks5020022
Received: 13 December 2016 / Revised: 27 March 2017 / Accepted: 27 March 2017 / Published: 29 March 2017
Abstract: This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion effect. We analyse the intra-market and inter-market spillover among Islamic and conventional equities across three major markets: the USA, the United Kingdom and Japan. Our sample period ranges from 1996 to 2015. In addition, we segregate our sample period into three sub-periods covering prior to the 2007 financial crisis, the crisis period and the post-crisis period. We find weak support for the decoupling hypothesis during the post-crisis period. View Full-Text
Keywords: Islamic stock market; conventional stock markets; asymmetric return and volatility spillovers; EGARCH Islamic stock market; conventional stock markets; asymmetric return and volatility spillovers; EGARCH
MDPI and ACS Style

Umar, Z.; Suleman, T. Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities. Risks 2017, 5, 22. https://doi.org/10.3390/risks5020022

AMA Style

Umar Z, Suleman T. Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities. Risks. 2017; 5(2):22. https://doi.org/10.3390/risks5020022

Chicago/Turabian Style

Umar, Zaghum, and Tahir Suleman. 2017. "Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities" Risks 5, no. 2: 22. https://doi.org/10.3390/risks5020022

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